The Frank copula
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The Frank copula is a copula that is sometimes used
in the modelling of codependency. It is an Archimedean copula,
and exchangeable.
Copula name
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Frank copula
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Common notation
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Parameters
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Domain
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Copula
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Or if we use the limit which
the independence
copula
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Kendall’s rank
correlation coefficient (for bivariate case)
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where is
the Debye function defined as:
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Coefficient of upper
tail dependence,
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Coefficient of lower
tail dependence,
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Archimedean generator
function,
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Or if we use the limit which
is taken as
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Other comments
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If we obtain the independence copula.
The Frank copula (like the Clayton copula) is a comprehensive
copula in that it interpolates between a lower limit of the countermonotonicity
copula () and an upper limit of the comonotonicity
copula ().
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Nematrian web functions
Functions relating to the above distribution may be accessed
via the Nematrian
web function library by using a DistributionName of “Frank Copula”.
For details of other supported probability distributions see here.
NAVIGATION LINKS
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